Derek R. White

UNSW Australia Business School, School of Banking and Finance

Dr.

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 4,828

SSRN RANKINGS

Top 4,828

in Total Papers Downloads

7,675

CITATIONS
Rank 8,373

SSRN RANKINGS

Top 8,373

in Total Papers Citations

54

Scholarly Papers (4)

1.

Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies

Number of pages: 63 Posted: 28 Nov 2003
John Okunev and Derek R. White
Coda Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 3,092 (2,619)
Citation 13

Abstract:

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Hedge Funds, Value at Risk

2.

Do Momentum Based Strategies Still Work in Foreign Currency Markets?

Number of pages: 57 Posted: 01 Jun 2001
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Coda Asset Management
Downloads 2,856 (3,016)
Citation 41

Abstract:

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Momentum, technical trading rules, GARCH, foreign exchange, bootstrap

3.

The Returns to Following Currency Forecasts

Number of pages: 62 Posted: 03 Jan 2004
Patrick Lehner, John Okunev and Derek R. White
Independent, Coda Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 902 (21,365)

Abstract:

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Currency, Foreign Exchange, Forecasts, Bayes

4.

Moment Matching for the Masses

Number of pages: 36 Posted: 04 Aug 2006
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Coda Asset Management
Downloads 348 (74,724)

Abstract:

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Value at Risk, Simulation, Cholesky decomposition, Risk Management